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Dapper425

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tT
发表于 2011-7-11 19:26 | 只看该作者

Micro Attribution

index, into, allocation, return, active
Hi,

We know that the portfolio return can be broken up into 3 components: P = M + S + A

M = Market index return
S = Excess return to style
A = Active return

Which components of the micro performance attribution (sector allocation, allocation/selection integration, within-sector allocation) are part of the active return ?
More specifically, is the sector allocation a style contribution or an active return contribution ?

Thanks in advance,

Bern
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Unforseen

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发表于 2011-7-11 19:26 | 只看该作者
This 2 concepts where presented in the same session. According to page 158:it is said that value-added return = active return. In others words, the 3 components of the micro-attribution are part of the active return....

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oneboy

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发表于 2011-7-11 19:26 | 只看该作者
I think the value -added return is true active return = actual return -nomal benchmark
so the micro is based on true active return
Sector Allocation manager's work overwight or underwight
Within-Sector Allocation security selection analyst's work
Allocation/Selection more complicated and interactive

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